The chess set fashioned after the various Rogues came into being, fittingly, in The Gotham Rogues when they are the weapons Riddler uses on their side of the war against Carmine Falcone and the mobs. It was presumably built by The Z and is the focus of a stellar conversation in Riddler’s confrontation with Batman in Chapter 6: Against Belief.

“Interesting choice. Most people would have made him the king.”
“Most people are idiots,” Riddler observed. “King is not only the weakest piece on the board, he’s the most predictable. Moves one square, can’t put himself in check, and because he’s so gosh-darn important, he doesn’t move at all until there are no options left. Bishop, on the other hand, can wreak havoc just by existing. Move the pawn sitting in front of him, it’s a whole new game board.”
Behind Batman’s mask, Bruce looked up sharply. It was a shockingly brilliant analysis.
“Diagonal moves,” Batman noted. “Psychologically more erratic, amidst the squares and straight lines of the board.”
Eddie shook his head, dissatisfied with the idea.
“No, to play that game, the most psychologically irrational movement is the knight’s… I didn’t want to do that. You were going to see it. That seemed… needlessly rude.”

But it would be back! A prop like that was too wonderful to disappear from the tale forever, and Selina unearthed it for a little payback two tales later in Inside an Enigma.